Varying positionsize based on recent results or indicators

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Mats
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Varying positionsize based on recent results or indicators

Post by Mats » Wed Jun 24, 2009 8:35 am

Please see viewtopic.php?t=318

What about decrease and increase the betsize in trend following system?

IF you have a nontrending market indicator. IF that indicator shows that your market is not trending:

(maybe if your 10 last trades have a lesser than normal succes ratio?)

In that case of a non trending market decrease the bet size to 0,5% from 1% else
in case of a trending market increase the betsize to 1.5%

Have anyone some experience with that? in testing or real life?

Thanks/Mats

babelproofreader
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Post by babelproofreader » Wed Jun 24, 2009 3:14 pm

Two ideas I have experimented with in the past, when it comes to equity curve trading, are

i) applying quality control charts to the equity curve
ii) applying Bollinger Bands using the semi-standard deviation

In both cases you would "calibrate" over periods in the past where the system was performing well and producing a good equity curve. When the current portion of the equity curve is not performing within these preset limits, cease trading.

Roger Rines
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Post by Roger Rines » Wed Jun 24, 2009 4:38 pm

A lot of chatter has been posted on this topic. When I just did a search using "Equity Curve" and then using the "Search for All Words" option, many pages resulted. However, I was involved in a few of the discussions, so if you add my name in the posting field, you'll find 7-items appear.

You might find it interesting to use other names you see in the 7-item, and subsequent searches as different filters. This filtering should produce different items to review.

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